Predicting Stock Market Crashes in China
研究了市盈率、周期调整市盈率和债券-股票收益率差模型对中国上海和深圳股市崩盘的预测能力，发现市盈率对两个市场均有预测价值，且所有指标对深圳市场预测效果更好。
Predicting stock market crashes is extremely valuable for all investors. Several useful prediction models have been developed, focusing on mature financial markets, in North America, Europe, and Japan. The authors investigate whether traditional crash predictors—the price-to-earnings ratio (P/E), the cyclically adjusted price-to-earnings ratio (CAPE), and the bond–stock earnings yield differential model (BSEYD)—predict crashes for the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index in mainland China. Using data from the early 1990s to the end of 2016, the authors find that the P/E ratio has predictive value for both exchanges over the entire period. When testing the P/E, CAPE, and BSEYD over a shorter nine-year period, the authors find that all measures had a higher predictive value for the Shenzhen index, where smaller, privately owned companies are listed, than for the Shanghai index, where larger, often state-owned enterprises trade. <b>TOPICS:</b>Tail risks, portfolio management/multi-asset allocation, performance measurement, volatility measures